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Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade

Citations

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Cited by:

  1. Yang, Chen & Lv, Fei & Fang, Libing & Shang, Xingxing, 2020. "The pricing efficiency of crude oil futures in the Shanghai International Exchange," Finance Research Letters, Elsevier, vol. 36(C).
  2. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2021. "Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns," Energy Economics, Elsevier, vol. 94(C).
  3. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
  4. Ma, Richie Ruchuan & Xiong, Tao & Bao, Yukun, 2021. "The Russia-Saudi Arabia oil price war during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 102(C).
  5. Qu, Fang & Chen, Yufeng & Zheng, Biao, 2021. "Is new energy driven by crude oil, high-tech sector or low-carbon notion? New evidence from high-frequency data," Energy, Elsevier, vol. 230(C).
  6. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
  7. Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
  8. Jiawen Luo & Tony Klein & Thomas Walther & Qiang Ji, 2024. "Forecasting realized volatility of crude oil futures prices based on machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1422-1446, August.
  9. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
  10. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
  11. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
  12. Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance 1816, University of St. Gallen, School of Finance.
  13. Kaushik Ranjan Bandyopadhyay, 2022. "Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility," Energies, MDPI, vol. 15(8), pages 1-21, April.
  14. Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022. "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, vol. 313(1), pages 77-103, June.
  15. Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.
  16. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
  17. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  18. Sugra Ingilab Humbatova & Natig Qadim-Oglu Hajiyev, 2019. "Oil Factor in Economic Development," Energies, MDPI, vol. 12(8), pages 1-40, April.
  19. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).
  20. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
  21. Fen Li & Zhehao Huang & Junhao Zhong & Khaldoon Albitar, 2020. "Do Tense Geopolitical Factors Drive Crude Oil Prices?," Energies, MDPI, vol. 13(16), pages 1-20, August.
  22. Alqahtani, Abdullah & Klein, Tony, 2021. "Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions," Energy, Elsevier, vol. 236(C).
  23. Luka Jovanovic & Dejan Jovanovic & Nebojsa Bacanin & Ana Jovancai Stakic & Milos Antonijevic & Hesham Magd & Ravi Thirumalaisamy & Miodrag Zivkovic, 2022. "Multi-Step Crude Oil Price Prediction Based on LSTM Approach Tuned by Salp Swarm Algorithm with Disputation Operator," Sustainability, MDPI, vol. 14(21), pages 1-29, November.
  24. Yue‐Jun Zhang & Shu‐Jiao Ma, 2021. "Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2414-2435, April.
  25. Zhao, Jing, 2022. "Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach," Resources Policy, Elsevier, vol. 79(C).
  26. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  27. Wang, Jianli & Qiu, Shushu & Yick, Ho Yin, 2022. "The influence of the Shanghai crude oil futures on the global and domestic oil markets," Energy, Elsevier, vol. 245(C).
  28. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
  29. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
  30. Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
  31. Deyuan Zhang & Wensen She & Fang Qu & Chunyan He, 2023. "Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data," Energies, MDPI, vol. 16(16), pages 1-19, August.
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